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^AEX vs. ^AW01
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^AEX^AW01
YTD Return17.59%9.91%
1Y Return22.29%19.32%
3Y Return (Ann)7.98%3.49%
5Y Return (Ann)10.47%8.68%
10Y Return (Ann)8.34%6.25%
Sharpe Ratio1.961.99
Daily Std Dev10.95%9.40%
Max Drawdown-71.60%-59.48%
Current Drawdown-0.92%-0.48%

Correlation

-0.50.00.51.00.7

The correlation between ^AEX and ^AW01 is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^AEX vs. ^AW01 - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly higher than ^AW01's 9.91% return. Over the past 10 years, ^AEX has outperformed ^AW01 with an annualized return of 8.34%, while ^AW01 has yielded a comparatively lower 6.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


300.00%350.00%400.00%450.00%2024FebruaryMarchAprilMayJune
372.03%
462.53%
^AEX
^AW01

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AEX Index

FTSE All World

Risk-Adjusted Performance

^AEX vs. ^AW01 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and FTSE All World (^AW01). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


^AEX
Sharpe ratio
The chart of Sharpe ratio for ^AEX, currently valued at 1.60, compared to the broader market-1.000.001.002.001.60
Sortino ratio
The chart of Sortino ratio for ^AEX, currently valued at 2.43, compared to the broader market-2.00-1.000.001.002.003.002.43
Omega ratio
The chart of Omega ratio for ^AEX, currently valued at 1.29, compared to the broader market0.801.001.201.401.29
Calmar ratio
The chart of Calmar ratio for ^AEX, currently valued at 1.01, compared to the broader market0.001.002.003.004.005.001.01
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 3.62, compared to the broader market0.005.0010.0015.0020.003.62
^AW01
Sharpe ratio
The chart of Sharpe ratio for ^AW01, currently valued at 1.99, compared to the broader market-1.000.001.002.001.99
Sortino ratio
The chart of Sortino ratio for ^AW01, currently valued at 2.85, compared to the broader market-2.00-1.000.001.002.003.002.85
Omega ratio
The chart of Omega ratio for ^AW01, currently valued at 1.36, compared to the broader market0.801.001.201.401.36
Calmar ratio
The chart of Calmar ratio for ^AW01, currently valued at 1.11, compared to the broader market0.001.002.003.004.005.001.11
Martin ratio
The chart of Martin ratio for ^AW01, currently valued at 5.38, compared to the broader market0.005.0010.0015.0020.005.38

^AEX vs. ^AW01 - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which roughly equals the ^AW01 Sharpe Ratio of 1.99. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and ^AW01.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.502024FebruaryMarchAprilMayJune
1.60
1.99
^AEX
^AW01

Drawdowns

^AEX vs. ^AW01 - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, which is greater than ^AW01's maximum drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for ^AEX and ^AW01. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-0.48%
^AEX
^AW01

Volatility

^AEX vs. ^AW01 - Volatility Comparison

AEX Index (^AEX) has a higher volatility of 3.88% compared to FTSE All World (^AW01) at 2.10%. This indicates that ^AEX's price experiences larger fluctuations and is considered to be riskier than ^AW01 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
3.88%
2.10%
^AEX
^AW01